Senior Associate, Market Risk Execution

Employee Applicant Privacy Notice

Who we are:

The role:

We are seeking a Market Risk Execution Associate in the Treasury team to support the management of market risk across the companys balance sheet with a primary focus on mortgage-related assets and associated hedging activities. This role will help execute Treasurys risk management strategy by monitoring exposures supporting hedge implementation analyzing hedge effectiveness and assisting with daily risk reporting tied to retained mortgage positions.

The ideal candidate is analytically strong detail-oriented and interested in fixed income markets mortgage products and balance sheet risk management. This person will work closely with Treasury Capital Markets Finance Accounting and Risk teams to help manage interest rate spread convexity and pipeline-related risks arising from on-balance sheet mortgages.

What youll do:

• Assist in the design implementation and rebalancing of hedging strategies using approved instruments including derivatives and cash market hedges.
• Prepare daily and weekly risk reports covering hedge positions sensitivities exposure changes P&L attribution and hedge effectiveness.
• Track asset and liability duration convexity and key rate exposures across mortgage-related positions.
• Partner with senior Treasury team members to evaluate hedge needs driven by origination flows retained production portfolio runoff prepayment behavior and market moves.
• Help execute hedge transactions within approved policies limits and governance frameworks.
• Support scenario analysis and stress testing for mortgage portfolios under different rate spread and prepayment environments.
• Assist in developing and maintaining risk models dashboards and reporting tools used to manage mortgage balance sheet exposure.
• Work with Finance and Accounting to support hedge documentation valuation review and reporting requirements.
• Maintain awareness of mortgage market trends rate volatility Federal Reserve activity and macro developments relevant to balance sheet hedging.

What youll need:

Responsibilities include helping measure the risk profile of retained mortgage assets supporting hedging activity and ensuring Treasury maintains appropriate protection against adverse market movements. The associate will play a key role in translating portfolio exposure into actionable hedging strategy under the direction of senior Treasury leadership.

• Bachelors degree in Finance Economics Mathematics Accounting Engineering or a related quantitative field.
• 13 years of experience in Treasury Capital Markets market risk fixed income mortgage finance ALM or a related field; strong internships may be considered.
• Foundational understanding of interest rates fixed income instruments and mortgage products.
• Familiarity with concepts such as duration convexity DV01 key rate risk spread risk and hedge effectiveness.
• Strong analytical and quantitative skills with the ability to interpret market data and portfolio sensitivities.
• Advanced Excel skills; experience with SQL Python VBA or risk/reporting tools is a plus.
• Strong attention to detail and ability to manage recurring processes with a high degree of accuracy.
• Effective communication skills and comfort working cross-functionally in a fast-paced environment.
• Strong organizational skills and ability to prioritize multiple deadlines.

Nice to have:

• Exposure to agency/non-agency mortgages mortgage servicing rights pipeline hedging or mortgage-backed securities.
• Experience supporting hedging activity with swaps Treasury futures TBA securities options or other interest rate hedging instruments.
• Familiarity with asset-liability management funds transfer pricing or Treasury risk governance.
• Understanding of hedge accounting and valuation concepts is a plus.